Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...

This study focuses on the question whether nonlinear transformation of lagged time series values and residuals are able to systematically improve the average forecasting performance of simple Autoregressive models. Furthermore it investigates the potential superior forecasting results of a...

Aus der Vielzahl der an den europäischen Strom-Großhandelsmärkten verfügbaren Preisen werden Day Ahead Base Börsenpreise ausgewählt, um den Zusammenhang zwischen den nationalen Großhandelsmärkten zu untersuchen. Die Resultate der Law of One Price Analyse machen deutlich, dass die...